On estimating conditional quantiles and distribution functions
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Foresi, S. & Paracchi, F., 1992. "The Conditional Distribution of Excess Returns: An Empirical Analysis," Working Papers 92-49, C.V. Starr Center for Applied Economics, New York University.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Antoch, J. & Janssen, P., 1989. "Nonparametric regression M-quantiles," Statistics & Probability Letters, Elsevier, vol. 8(4), pages 355-362, September.
- Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
- Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
- Franco Peracchi, 2002. "The European Community Household Panel: A review," Empirical Economics, Springer, vol. 27(1), pages 63-90.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Samantha Leorato & Franco Peracchi, 2015. "Comparing Distribution and Quantile Regression," EIEF Working Papers Series 1511, Einaudi Institute for Economics and Finance (EIEF), revised Oct 2015.
- Loriano Mancini & Fabio Trojani, 2011.
"Robust Value at Risk Prediction,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 9(2), pages 281-313, Spring.
- Loriano Mancini & Fabio Trojani, 2005. "Robust Value at Risk Prediction," Swiss Finance Institute Research Paper Series 07-31, Swiss Finance Institute, revised Oct 2007.
- Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," University of St. Gallen Department of Economics working paper series 2007 2007-36, Department of Economics, University of St. Gallen.
- Philippe Van Kerm, 2013. "Generalized measures of wage differentials," Empirical Economics, Springer, vol. 45(1), pages 465-482, August.
- Franco Peracchi & Samantha Leorato, 2015. "Shape Regressions," Working Papers gueconwpa~15-15-06, Georgetown University, Department of Economics.
- Roger Koenker & Samantha Leorato & Franco Peracchi, 2013. "Distributional vs. Quantile Regression," EIEF Working Papers Series 1329, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2013.
- Philippe Van Kerm & Seunghee Yu & Chung Choe, 2016. "Decomposing quantile wage gaps: a conditional likelihood approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 65(4), pages 507-527, August.
- Franco Peracchi & Andrei V. Tanase, 2008. "On estimating the conditional expected shortfall," CEIS Research Paper 122, Tor Vergata University, CEIS, revised 14 Jul 2008.
- Leorato, Samantha & Peracchi, Franco & Tanase, Andrei V., 2012.
"Asymptotically efficient estimation of the conditional expected shortfall,"
Computational Statistics & Data Analysis,
Elsevier, vol. 56(4), pages 768-784.
- Samantha Leorato & Franco Peracchi & Andrei V. Tanase, 2010. "Asymptotically Efficient Estimation of the Conditional Expected Shortfall," EIEF Working Papers Series 1013, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2010.
- Stanislav Anatolyev & Jozef Barunik, 2017. "A simple model for forecasting conditional return distributions," Papers 1711.05681, arXiv.org.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:38:y:2002:i:4:p:433-447. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/csda .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.